I have a strange problem.

I have the Oblivion "5th Anniversary" copy, with the 2 expansions disks. When I install my copy, all run well, but the Direct X 9.0.c fail to install.

Someone can give an advice about this? I don't now if this ruin something in the game or not.

It is possible that the DirectX 9.0.c is already installed with the OS, or you have a later one, so it is not needed. The installation should fail if it would be a down-grade.